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~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~person:"Fanelli, Viviana"
~type_genre:"Konferenzbeitrag"
~type_genre:"Working Paper"
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Credit derivative
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Euler-Maruyama stochastic integral approximation
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Fanelli, Viviana
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Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2009
Persistent link: https://www.econbiz.de/10008662364
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Modelling the evolution of credit spreads using the Cox process within the HUM framework : a CDS option pricing model
Chiarella, Carl
;
Fanelli, Viviana
;
Musti, Silvana
-
2008
Persistent link: https://www.econbiz.de/10003857131
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